The asymptotic distribution of power spectra in dynamic econometric models

Giorgio Calzolari

MPRA Paper from University Library of Munich, Germany

Abstract: Starting from a consistent and asymptotically normally distributed structural estimate of a dynamic econometric model, this paper provides an analytical derivation of the asymptotic distribution of spectra and cross spectra of the jointly dependent variables. A numerical example is provided on the Klein-I model estimated by Full Information Maximum Likelihood.

Keywords: Power spectra; peak frequencies; asymptotic standard errors; maximum likelihood; Klein- I model (search for similar items in EconPapers)
JEL-codes: C30 C50 C63 (search for similar items in EconPapers)
Date: 1979
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Published in Institut fuer Gesellschafts- u. Wirtschaftswissenschaften der Universitaet Bonn 101 (1979): pp. 1-21

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